This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … common factors can explain a vast proportion of the variation in volatility term structures across currencies. Furthermore …, the results indicate that the euro is the dominant currency, as the implied volatility term structure of the euro is found …

puts; (iii) volatility risk premiums are small or insignificant; and (iv) put (call) risk premiums are more (less) negative …